Learning about beta: Time-varying factor loadings, expected returns, and the conditional CAPM - Adrian, Tobias; Franzoni, Francesco (Journal of empirical finance, 2009)
Keywords: Anomalies; Asset pricing; Beta; Beta CAPM Kalman filter Anomalies Value premium; CAPM; Estimation; Investors; Kalman filter; Learning; Portfolio analysis; Stock returns; Time; Value premium; C11; Value premium; CAPM; Kalman filter; G12; Beta; Anomalies